Multi-Dimensional self-exciting NBD process and Default portfolios

Masato Hisakado, Kodai Hattori and Shintaro Mori

Papers from arXiv.org

Abstract: In this study, we apply a multidimensional self-exciting negative binomial distribution (SE-NBD) process to default portfolios with 13 sectors. The SE-NBD process is a Poisson process with a gamma-distributed intensity function. We extend the SE-NBD process to a multidimensional process. Using the multidimensional SE-NBD process (MD-SE-NBD), we can estimate interactions between these 13 sectors as a network. By applying impact analysis, we can classify upstream and downstream sectors. The upstream sectors are real-estate and financial institution (FI) sectors. From these upstream sectors, shock spreads to the downstream sectors. This is an amplifier of the shock. This is consistent with the analysis of bubble bursts. We compare these results to the multidimensional Hawkes process (MD-Hawkes) that has a zero-variance intensity function.

Date: 2022-05, Revised 2022-09
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in The Review of Socionetwork Strategies, vol.16,(2022) 493-512

Downloads: (external link)
http://arxiv.org/pdf/2205.14146 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2205.14146

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().